Volatility Clustering and Piecewise Homoscedasticity - Part I - Indices]]>

" Simulate 1000 conditional paths 30 steps ahead for any given series conditioned on 5yr US Treasury yields being at 6%"

If the path is not conditioned, what I did was:

1.calculate the differences of the yield values (in the past) day by day....

yield prevision CONDITIONED on 5yr US Treasury yields being at 6%]]>

I am trying to implement Student t copula in excel to price some basket default swap...

However, i just cant seems to get it to work in excel at low degree of freedom, v....just wondering what i do wrong...

Here is the step i took

1) Derive Cholesky decomposition A from the correlation matrix

2) Generate n number of independent standard random variables Z

3) Set x = A*Z

4) Generate a random variate s from chi squared distribution with degree of freedom v.

5) Set y = x*sqrt(v/s)...

Student t copula in Excel]]>

I want to be able to link to either a chart or a raw data page for any symbol/date combination.

For example, if I want to see the intraday price action for AAPL on November 3, 2015, I want a URL I can click such as:

Default title | Domain.com

and then I can see either a chart or the raw price action data. Chart...

Need URL to show intraday historical price action]]>

Question about binomial pricing examples on investopedia.com]]>

im trying to get the exact price for a European Call Option on the geometric mean of a basket of stocks in the multivariate Black-Scholes Model. I already found some solutions online but so far my Monte-Carlo Algorithm doesnt converge to the values i computed with those solutions. It does however converge to the black-scholes solution for a standard European Call on one stock. So the error should either be in how i correlate the random brownian increments or the payoff function but...

Black-Scholes Price of European Geometric Mean Basket Option]]>

I want to implement a real options model that models the movement of the underlying based on a Brownian diffusion process and compound Poisson jump process with a time-inhomogeneous (deterministic) frequency function lambda(t). More precisely, I want to find the solution for a standard jump-diffusion SDE with drift, while the frequency function lambda(t) follows a simple exponential function (for example lambda = 2^t), which means that the frequency of jumps increases...

Time inhomogeneous jump-diffusion model with exponential frequency function]]>

Though for a

For instance, even if you run your savings plan for 30 years and...

Savings Plan Scenario Simulator]]>

I'm a student in the UW CFRM program. I just completed the QFCF certificate and am now working on the CFIN certificate. The only type of portfolio optimization I have worked with, thus far, is mean-variance optimization. Well, I have also experimented with maximum Sortino optimization as well. Then, there is risk-parity and equal weighting, but these are trivial.

Let's say I want together a portfolio of mutual funds for a retirement portfolio, from the below list. The goal...

Allocating assets among retirement portfolio]]>

I came to this wonderful forum after watching MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013- lecture 7 VAR by Kenneth Abbott.

I am trying to model mortgage portfolio behavior in the Israeli market.

A mortgage portfolio is built from different loans. Each loan's monthly payment, interest and principal is dynamic and depends on different indicators which are:

Consumer pricing index, Israeli government bond rates etc..

Following Ken's lecture, I...

Monte carlo simulations with one of the indexed pre-defined]]>

Since now, I did not discover a site/database that offers Free historical option prices. I would be pleased if someone could provide me a Free website or send me data file with historical option prices.

I am focusing on the Black-Scholes model and whether the implied volatility forecast the realized volatility as well as the difference between option price in the Market and...

Option prices historical data for research]]>

https://arxiv.org/pdf/1405.1948.pdf

After equation (40), it's stated that \(\phi_i\) is previsible "by definition".

But how can that be? Given any time-tick i, S(up) and S(down) are definitely not known in advance.]]>

I'm having trouble trying to forecast my own expected exposure curves for some simple OTC derivatives, i.e Interest Rate Swap, Cross-currency swap, and swaptions. The context for this is to ultimately calculate CVA and FVA.

There's alot of resources on the web but I have yet to see a solid break-down or step-by-step guide to calculating the expected exposure. I understand it usually involves some short-term interest rate model and monte carlo sim. Alot of XVA explanation...

Creating Expected Exposure curves for XVA]]>

- in which case should we analyze a stock price or logarithm transformation of stock price. and what about other economic/financial data such as GDP, interest rate, exchange rate? which is the rational?
- we should have a stationary data. I'm using Augmented Dickey-Fuller test for unit root in 3 versions: no constant, drift and drift+trend. all these tests results told me that my data is non-stationary, but 1st version...

ARIMA model to forecast a stock price]]>

I came across many textbooks, but the models' goal seems to explain the volatility surface in the market. However, a real hedger's goal is to beat the market or produce something not exist in the market,...

Hedge Needs - Which Model is Best to use?]]>

I really need some help and I am still newbie.

Can someone tell me how exactly we can find Delta if I am a seller of down and in put?

Really appreciate it.]]>

Could anybody help me out here with the following two questions: for a) I did get that result (bootstrapping) since a ZCB can be viewed as a discount factor e^(-r(T-t)) and with AOA we get that the value portfolios with the same terminal value also have the same value at t=0.

1. Let Bt(T) be the cost at time t of a zero coupon bond with maturity T (in years).

(a) Suppose B0(1), B0(2) and B1(2) are known at time 0 (i.e. interest rates are deterministic). Show that the absence of...

Zero Coupon Bond]]>